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Glavaš, Lenka (Beograd , 2015)[more][less]
Zusammenfassung: The subject of this doctoral dissertation is related to the problems of extreme values in strictly stationary random sequences. It belongs to the topical area of probability and statistics, broadly applicable to real life situations and in many scienti c elds. It relies on large number of seminal articles and monographs. The main aim of the dissertation is to determine the asymptotic behavior of maxima of some incomplete samples from the rst-order auto-regressive processes with uniform marginal distributions. The dissertation consists of three chapters. New results (the theoretical ones and the results of computer simulations) are presented in the third chapter. Two types of the uniform ARp1q process pXnqnPN are considered: positively correlated and negatively correlated process, with the lag one correlation p1q : CorrpXn 1;Xnq equal to 1 r and 1 r , respectively, where r ¥ 2 is the parameter of the underlying process. Let pcnqnPN be a non-random 0 1 sequence, such that lim nÑ8 1 n n ¸j 1 cj p P r0; 1s. This sequence of degenerate random variables is introduced with the purpose to correspond to the sequence pXnq in the following sense: r.v. Xj is observed if cj 1, otherwise r.v. Xj is not observed (missing observation). Let us use the notation: the r.v. Mn : max 1¤j¤n Xj is maximum of the complete (size n) sample from the random sequence pXnq, and the r.v. Mn is what is called partial maximum, i.e. the maximal element of incomplete sample tXj : cj 1; 1 ¤ j ¤ nu. Based on di erent, speci c deterministic sequences pcnq it is proved that the limiting distribution, as n Ñ 8, of the two-dimensional random vector Mn;Mn , is not uniquely determined by the limit value p. This appears as a consequence of the fact that for the uniform ARp1q process one of the weak dependence conditions does not apply. Namely, the uniform ARp1q process does not satisfy the local condition under which clustering of extremes is restricted. As a consequence of this property, some interesting conclusions about asymptotic joint distributions of random variables Mn and Mn are reached. In the cases when the partial maximum Mn is determined by an arbitrary point process there are presented results obtained by simulations. The rst two chapters are rather informative. Having in mind interest in studying the asymptotic behavior of linearly standardized two-dimensional component-wise maxima the role of the rst chapter is to anticipate the concept of multivariate extreme values. In the second chapter the basic terms in the time series analysis are formulated, with the accent on the linear stationary models, especially on rst-order auto-regressive models. The special attention is dedicated to the uniform ARp1q processes, their properties and existing results concerning their extremal behavior. Still open questions are mentioned in the conclusion, in the very end of the third chapter. URI: http://hdl.handle.net/123456789/4454 Dateien zu dieser Ressource: 1
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